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Foreign exchange option pricing in the currency cycle with jump risks

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  1. Article

    Optimal carry trade portfolio choice under regime shifts

    This paper studies optimal currency allocation of the carry trade in foreign exchange (FX). A number of empirical studies have documented a phenomenon referred to as the ‘forward premium puzzle’, which states ...

    Chih-Nan Chen, Chien-Hsiu Lin in Review of Quantitative Finance and Accounting (2022)

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